Work

A Global Optimization Heuristic for Portfolio Choice with VaR and Expected Shortfall

Year: 2002

Type: book-chapter

Source: Applied optimization

DOI: 10.1007/978-1-4757-3613-7_9

Authors: Manfred Gilli, Evis Këllezi

Institution: University of Geneva

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1668618005

FWCI: 8.45

Cites: 23

Cited by: 63

Related to: 10